Volatility spillover effects between oil and GCC stock markets : a wavelet-based asymmetric dynamic conditional correlation approach
Year of publication: |
2022
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Authors: | Thuy Tien Ho ; Ngo Thai Hung |
Published in: |
International journal of Islamic and Middle Eastern finance and management. - Bingley : Emerald, ISSN 1753-8408, ZDB-ID 2423843-0. - Vol. 15.2022, 6, p. 1127-1149
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Subject: | GCC stock markets | Hedge ratio | Oil prices | Spillover effects | Wavelet analysis | Aktienmarkt | Stock market | Ölpreis | Oil price | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Arabische Golf-Staaten | Gulf countries | ARCH-Modell | ARCH model | Korrelation | Correlation | Hedging | Börsenkurs | Share price | Zustandsraummodell | State space model | Schätzung | Estimation | Kointegration | Cointegration |
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